This paper revisits the well known Feldstein-Horioka saving-investment correlation puzzle from a time series perspective using a sample of 21 OECD countries. We argue that the strong positive correlation between saving and investment as originally identified by Feldstein and Horioka (1980)...

Saikkonen (1991, <italic>Econometric Theory</italic> 7, 1–21) developed an asymptotic optimality theory for the estimation of cointegrated regressions. He proposed the dynamic ordinary least squares (OLS) estimator obtained by augmenting the static cointegrating regression with leads and lags of the first...

This paper studies the behavior of recently proposed bootstrap tests for the null hypothesis of stationarity when the data are generated under the alternative hypothesis of a unit root. Using Monte Carlo experiments and empirical examples, it is shown that the power of these tests critically...

Determining whether per capita output can be characterized by a stochastic trend is complicated by the fact that infrequent breaks in trend can bias standard unit root tests towards nonrejection of the unit root hypothesis. The bulk of the existing literature has focused on the application of...

Determining whether per capita output can be characterized by a stochastic trend is complicated by the fact that infrequent breaks in trend can bias standard unit root tests towards non-rejection of the unit root hypothesis. The bulk of the existing literature has focused on the application of...

Determining whether per capita output can be characterized by a stochastic trend is complicated by the fact that infrequent breaks in trend can bias standard unit root tests towards non-rejection of the unit root hypothesis. The bulk of the existing literature has focused on the application of...

Perron and Yabu (2009a) consider the problem of testing for a break occurring at an unknown date in the trend function of a univariate time series when the noise component can be either stationary or integrated. This article extends their work by proposing a sequential test that allows one to...

This paper considers the problem of testing for multiple structural changes in the persistence of a univariate time series. We propose sup-Wald tests of the null hypothesis that the process has an autoregressive unit root throughout the sample against the alternative hypothesis that the process...

This paper studies issues related to the estimation of a structural change in the persistence of a univariate time series. The break is such that the process has a unit root [i.e., is I(1)] in the pre-break regime but reverts to a stationary [i.e., I(0)] process in the post-break regime or vice...